Social and Behavioral Sciences Commons^™

Optimal Bandwidth Selection In Heteroskedasticity-Autocorrelation Robust Testing, Yixiao Sun, Peter C. B. Phillips, Sainan Jin

Research Collection School Of Economics

This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M = bT for some constant b ∈ (0, 1] and sample size T. It is shown that the nonstandard fixed-b limit distributions of such nonparametrically studentized tests provide more accurate approximations to the finite sample distributions than the standard small-b limit distribution. We further show that, for typical economic time series, the optimal bandwidth that minimizes a weighted average of type I and type II errors is larger by an order of magnitude than the …

Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C. B. Phillips

Research Collection School Of Economics

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. Simulations show that efficiency gains are achieved by the adaptive procedure.

Refined Inference On Long Memory In Realized Volatility, Peter C. B. Phillips, Offer Lieberman

Research Collection School Of Economics

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about by higher order theory. Standard asymptotic theory has an error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of. The new formula is independent …

Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow

Research Collection School Of Economics

No abstract provided.

Document Selection For Extracting Entity And Relationship Instances Of Terrorist Events, Zhen Sun, Ee Peng Lim, Kuiyu Chang, Maggy Anastasia Suryanto, Rohan Kumar Gunaratna

Research Collection School Of Computing and Information Systems

In this chapter, we study the problem of selecting documents so as to extract terrorist event information from a collection of documents. We represent an event by its entity and relation instances. Very often, these entity and relation instances have to be extracted from multiple documents. We therefore define an information extraction (IE) task as selecting documents and extracting from which entity and relation instances relevant to a user-specified event (aka domain specific event entity and relation extraction). We adopt domain specific IE patterns to extract potentially relevant entity and relation instances from documents, and develop a number of document …

Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma

Dissertations and Theses Collection (Open Access)

In this paper, we interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors. We show that the flow-performance relationship varies not only with economic activity but also across fund attributes. We provide evidence that the degree of convexity of the flow-performance relationship has a positive effect on the magnitude of tournament behavior. Different from the conventional tournament hypothesis, we show that although the convexity of the flow-performance relationship does produce implicit incentives for fund managers to modify risk-taking behavior as a function of their prior performance, whether or not the mid-year …

Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun

Dissertations and Theses Collection (Open Access)

The purpose of this paper is to study the role of offshore financial havens in international capital flows. We examine the effects of being a tax haven, a money laundering centre or an offshore financial centre (OFC), which often overlap. We want to see whether these places are used as entrepots (which means temporary storage for funds) or as investment places or both. We mainly use two complementary data sets: bilateral cross-border asset holding and financial intermediation. One is a stock variable and the other one is a flow variable. We apply the gravity model to bilateral cross-border asset holding …

Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang

Dissertations and Theses Collection (Open Access)

Following Phillips, Wu and Yu (2007), this paper extends their bubble detecting work to several Greater China stock markets. Two alternative bubble detecting methods, the forward recursive ADF tests raised by Phillips et al. (2007) and the modified version, forward rolling ADF tests, are implemented and compared. Monte Carlo simulations are performed to determine the critical values of the ADF statistic under different sample size. Empirical results demonstrate that only rolling ADF tests are successful in detecting rational bubbles by overcoming the problem of periodically collapsing bubble. As we have expected, bubbles in China Mainland stock market are detected. Out …

Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew

Dissertations and Theses Collection (Open Access)

This paper conducts a comprehensive analysis to understand how stock market ratios affect net income inequality. The study of how finance impacts income distribution is relevant as the income distribution of a nation influences savings decisions, resource allocation, innovation incentives and public policy and hence impacts the process of economic development. Using a cross-sectional data set of 68 countries and panel data set of 61 countries from 1975 to 2005, I apply cross-sectional OLS and panel regressions to look at how stock market size, liquidity, and activity impact income inequality. While stock market size is found to strongly impact income …

Test For Infinite Variance In Stock Returns, Xian Ning Yan

Dissertations and Theses Collection (Open Access)

The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's estimator and the Smith's estimator for the tail index using Monte Carlo simulations for both i.i.d data and dependent data. The simulation results show that the Hill's estimator with adaptive data-based truncation number performs better in both cases. It has not only smaller bias but also smaller MSE when the true tail index …

Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang

Research Collection Lee Kong Chian School Of Business

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false positives (nonzero alphas) at too high a rate with either daily or monthly data. In contrast, the Kalman filter model produces them at approximately the correct rate with monthly data; (ii) In monthly data, though the OLS models fail to detect any timing among fund managers, the Kalman filter does; (iii) The alpha and …

The Role Of The Board And Its Interaction With The Successor's Human Capital In The Asian Family Enterprise, Soo-Hoon Lee, Phillip H. Phan, Toru Yoshikawa

Research Collection Lee Kong Chian School Of Business

This study examined the human and social capital factors associated with higher post-succession firm performance in family enterprises in Singapore. We also investigated the moderating influence of the board of directors in terms of its service role as stewards of the enterprise. We found that a successor's industry experience and diversity of network ties were positively associated with firm performance and boards that focused their role as advisors to the successor enhanced post-succession firm performance.

The Well-Being Of Nations: Linking Together Trust, Cooperation, And Democracy, William Tov, Ed Diener

Research Collection School of Social Sciences

The theme of this chapter is that cooperative and trusting social relationships tend to enhance people’s subjective well-being (happiness and life satisfaction), and that in turn positive feelings of well-being tend to augment cooperation and trust. Extensive empirical work now supports the fact that sociability, interpersonal warmth, community involvement, and interpersonal trust are heightened by positive emotions. New analyses based on the World Value Survey show that nations that are high on subjective well-being (SWB) also tend to be high on generalized trust, volunteerism, and democratic attitudes. Additional analyses indicate that the association of SWB to volunteerism and democratic attitudes …

The Asean Charter As "Legs To Go Places": Ideational Norms And Pragmatic Legalism In Community Building In Southeast Asia, Eugene K. B. Tan

Research Collection Yong Pung How School Of Law

The Charter of the Association of Southeast Asian Nations (ASEAN) has been hailed as a legal instrument that would integrate the ten constituent members as a community and a regional organization. Ostensibly, the Charter has three strategic thrusts in support of the vision of the ASEAN Community. The first is to formalize ASEAN as an institution while streamlining its decision-making processes. Secondly, the Charter seeks to strengthen ASEAN institutions. Thirdly, it seeks to establish mechanisms to monitor compliance and settle disputes. The article considers the extent to which the Charter will help ASEAN achieve its aims. This is especially pertinent …

Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha

Research Collection School Of Economics

We examine a model in which the utility function has been engineered so that it is optimal for consumers to aim for a fixed target level of retirement resources. In this case consumption displays excess sensitivity to current income as well as perfect old age insurance. In an overlapping generations model, this leads naturally to multiple and unstable equilibria. Under static expectations, it also leads to a well-defined dynamics, including possible historical traps, implosions involving ever-diminishing capital stock and ever-increasing interest rates, and the feasibility of optimal one-time interventions.

Two-Sample Estimation Of Poverty Rates For Disabled People: An Application To Tanzania, Tomoki Fujii

Research Collection School Of Economics

Estimating poverty measures for disabled people in developing countries is di cult, partly because relevant data are not available. We develop two methods to estimate poverty by the disability status of the household head. We extend the small-area estimation proposed by Elbers, Lanjouw and Lanjouw (2002, 2003) so that we can run a regression on head's disability status even when such information is unavailable in the survey. We do so by aggregation and by moment adjusted two sample instrumental variable estimation. Our results from Tanzania show that both methods work well, and that disability is indeed associated with poverty.

Becoming A Better Leader, David Chan

Research Collection School of Social Sciences

Corporate crises put a lot of mental stress on CEOs. David Chan, professor at Singapore Management University, thinks that psychology can help those at the top. One lesson: Don't fall in the regret trap. The good thing: Crises can make CEOs grow.

Anarcho-Multiculturalism: The Pure Theory Of Liberalism, Chandran Kukathas

Research Collection School of Social Sciences

Most modern states today are, at least to some degree, culturally diverse.Trade, tourism, international dialogue among scholars, scientists, and artists,and the movement of skilled labor—as well as migration—have ensured thatfew countries do not contain within them significant numbers of people fromalien cultures. The one cultural minority found almost everywhere is the international frequent flyer. Many societies today are multicultural because theyare open to a diversity of peoples who come and go and, sometimes, stay.

Ethnic Differentials In Parental Health Seeking For Childhood Illness In Vietnam, Bussarawan Teerawichitchainan, James F. Phillips

Research Collection School of Social Sciences

Vietnam's sustained investment in primary healthcare since the onset of socialism has lowered infant and childhood mortality rates and improved life expectancy, exceeding progress achieved in other poor countries with comparable levels of income per capita. The recent introduction of user fees for primary healthcare services has generated concern that economic policies may have adversely affected health-seeking behavior and health outcomes of the poor, particularly among impoverished families who are members of socially marginalized minority groups. This paper examines this debate by analyzing parental recall of illness and care-seeking for sick children under the age of 5 years recorded by …

Sanctions Against Belarus: Normative Unintended, Clara Portela

Research Collection School of Social Sciences

The goals pursued by the EU vis-à-vis Belarus through its sanctions policies are unequivocally normative. The EU refers to the ‘violations of international electoral standards’ in the 2006 presidential elections and the ‘crackdown on civil society and democratic opposition’ as the primary reasons for the imposition of sanctions. The EU sanctions strategy against Belarus has followed an incrementalist logic, unfolding in parallel to the evolution of the Belarusian state towards authoritarianism.

Value Discount Of Business Groups Surrounding The Asian Financial Crisis: Evidence From Korean Chaebols, James Jinho Chang, Young Jun Cho, Won Kang, Hyun-Han Shin

Research Collection School Of Accountancy

We examine the effect of business group membership on firm value in each pre-and postcrisis Korea. Consistent with prior studies, results show that group affiliated chaebol firms suffer value discount relative to non-chaebol firms in the precrisis period. However, we also find that chaebol firms experience an improvement in firm value relative to non-chaebol firms after the financial crisis. These findings imply that the value discount of business groups reported in prior studies is not an inevitable consequence of diversification, but can be alleviated or overcome by structural reforms in business practices or economic conditions.

The Challenge Of Developing Across Borders: Singapore’S Gambit In Bangalore, India, Choong Tze Chua, Wilfred Pow Ngee How, Caroline Yeoh

Research Collection Lee Kong Chian School Of Business

No abstract provided.

A Trans-Tasman Business Elite?, Nicholas Harrigan, Shaun Goldfinch

Research Collection School of Social Sciences

This article examines the close relationship between the Australian and New Zealand business communities to ask whether the relationship is best characterized as simply a bi-lateral trading relationship, or whether there is evidence of the formation of a transnational business community. This article also seeks to explore the nature of Australia—New Zealand integration, and specifically the degree to which the relationship is interdependent or asymmetrical. Data are drawn from quantitative sources — including a dataset developed from the IBISWorld's Largest 2000 Enterprises in Australia and New Zealand, Who's Who in Australia, and Who's Who in Business in Australia — and …

The Effects Of Entrepreneurial Growth Orientation On Organizational Change And Firm Growth, Wee Liang Tan, Thomas Menkhoff, Yue Wah Chay

Research Collection Lee Kong Chian School Of Business

Managing growth in an enterprise as it grows beyond the startup phase is a challenge for many entrepreneurs. One key element that can help or hinder growth is the entrepreneur. Entrepreneurial growth has been linked to micro variables (motivations and psychological attributes of the entrepreneur) and macro variables. However, few studies have examined the role of the growth aspirations of the entrepreneur on the necessary elements of organization change related to growth.

This paper reports a study employing a typology of entrepreneurs based on their growth aspirations using an established dichotomous scale devised by Smith to differentiate between what he …

Norming "Moderation" In An "Iconic Target": Public Policy And The Regulation Of Religious Anxieties In Singapore, Eugene K. B. Tan

Research Collection Yong Pung How School Of Law

The maintenance of a “moderate mainstream” Muslim community as a bulwark against the fraying of harmonious ethnic relations has become a key governance concern post-September 11. In light of the global concern—and often paranoia—with diasporic Islam, Islamic religious institutions and civil society have been portrayed in the popular media as hotbeds of radicalism, promoters of hatred, and recruiters for a “conflict of civilization” between the Muslim world and the modern world. Having declared itself a terrorist's “iconic target,” Singapore has taken a broad-based community approach in advancing inter-religious tolerance, including a subtle initiative to include the “Muslim civil society” in …

Japanese Corporate Governance: Structural Change And Financial Performance, Asli M. Colpan, Toru Yoshikawa, Takashi Hikino, Hiroaki Miyoshi

Research Collection Lee Kong Chian School Of Business

This paper analyzes institutional and legal changes related to corporate governance and their impact on financial performance in Japan since the second half of the 1990s. We attempt to address two issues systematically: (1) how much the governance reforms of Japanese firms transformed the conventional system of alliance capitalism and managerial control; and (2) what economic outcomes those governance changes have yielded. As the Commercial Code and other legal and institutional frameworks were revised, Japanese firms experienced shifts in terms of stock ownership, corporate control and managerial organizations. Our empirical results show that the influence of new ownership composition and …

The Validity Of Assessment Centres For The Prediction Of Supervisory Performance Ratings: A Meta-Analysis, Eran Hermelin, Filip Lievens, Ivan T. Robertson

Research Collection Lee Kong Chian School Of Business

The current meta-analysis of the selection validity of assessment centres aims to update an earlier meta-analysis of assessment centre validity. To this end, we retrieved 26 studies and 27 validity coefficients (N=5850) relating the Overall Assessment Rating (OAR) to supervisory performance ratings. The current study obtained a corrected correlation of .28 between the OAR and supervisory job performance ratings (95% confidence interval .24 < =rho < =.32). It is further suggested that this validity estimate is likely to be conservative given that assessment centre validities tend to be affected by indirect range restriction.

Long Run Covariance Matrices For Fractionally Integrated Processes, Peter C. B. Phillips, Sik Kim Chang

Research Collection School Of Economics

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d ∈ [0,½). The theory is then applied to deliver formulas for the long-run covariance matrices of multivariate time series with long memory.Phillips acknowledges partial support from a Kelly Fellowship and from the NSF under grant SES 04-142254. This may be proved directly using a Fourier integral asymptotic expansion when the spectrum of the short-memory component is analytic.

Spatial Exploration Patterns Determine Navigation Efficiency: Trade-Off Between Memory Demands And Distance Travelled, Tamas Makany, Edward S. Redhead, Itiel E. Dror

Research Collection Lee Kong Chian School Of Business

A total of 41 participants explored a novel square-shaped environment containing five identical boxes each hiding a visually distinct object. After an initial free exploration the participants were required to locate the objects first in a predetermined and subsequently in an optional order task. Two distinct exploration strategies emerged: Participants explored either along the main axes of the room (axial), or in a more spatially spread, circular pattern around the edges of the room (circular). These initial exploration strategies influenced the optimality of spatial navigation performance in the subsequent optional order task. The results reflect a trade-off between memory demands …

Knowledge Narratives And Heterogeneity In Management Consultancy And Business Services, Robin Fincham, Timothy Adrian Robert Clark, Karen Handley, Andrew Sturdy

Research Collection Lee Kong Chian School Of Business

In the professional services, diversification into various types of business advice has implications for knowledge boundaries. This is a sector of changing jurisdictional patterns and periodic reconstruction. Firms like large law practices that feed services into corporate clients have been merging to provide global coverage (Suddaby and Greenwood, 2001; Suddaby et al., 2004). But new specialisms in areas like consulting and IT are even more dynamic. Patterns such as the growth in outsourcing and movement into management consulting accounted for stupendous growth of the global accounting firms. These changes have themselves been overtaken, as the IT and systems giants muscled …